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Autoregressive–moving-average model
In the
statistical
analysis of
time series
,
autoregressive–moving-average
(
ARMA
)
models
provide a parsimonious description of a
(weakly) stationary stochastic process
in terms of two polynomials, one for the
auto-regression
and the second for the
moving average
. The general ARMA model was described in the 1951 thesis of
Peter Whittle
,
Hypothesis testing in time series analysis
, and it was popularized in the 1971 book by
George E. P. Box
and
Gwilym Jenkins
.
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